Browsing Volume 2014 by Title
Now showing items 1-6 of 6
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2014-12-30BuchDistribution shaping and scenario bundling for stochastic programs with endogenous uncertainty Stochastic programs are usually formulated with probability distributions that are exogenously given. Modeling and solving problems withendogenous uncertainty, where decisions can influence the probabilities, has remained ...
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2014-10-16BuchDynamic Generation of Scenario Trees We present new algorithms for the dynamic generation of scenario trees for multistagestochastic optimization. The different methods described are based on random vectors, whichare drawn from conditional distributions given ...
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2014-04-16BuchMitigating Uncertainty via Compromise Decisions in Two-stage Stochastic Linear Programming Stochastic Programming (SP) has long been considered as a well-justified yet computationally challenging paradigm for practical applications. Computational studies in the literature often involve approximating a large ...
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2014-04-04BuchMulti-Objective Probabilistically Constrained Programming with Variable Risk: New Models and Applications We consider a class of multi-objective probabilistically constrained problems MOPCP with a joint chance constraint, a multi-row random technology matrix, and a risk parameter (i.e., the reliability level) defined as a ...
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2014-05-07BuchOn Distributionally Robust Multiperiod Stochastic Optimization This paper considers model uncertainty for multistage stochastic programs. The data and information structure of the baseline model is a tree, on which the decision problem is defined. We consider ambiguity neighborhoods ...
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2014-12-30BuchQuasi-Monte Carlo methods for linear two-stage stochastic programming problems Quasi-Monte Carlo algorithms are studied for generating scenarios to solve two-stage linear stochastic programming problems. Their integrands are piecewise linear-quadratic, but do not belong to the function spaces ...
